Gregory Connor : Citation Profile


Are you Gregory Connor?

Maynooth University

12

H index

13

i10 index

880

Citations

RESEARCH PRODUCTION:

15

Articles

32

Papers

1

Books

1

Chapters

RESEARCH ACTIVITY:

   34 years (1984 - 2018). See details.
   Cites by year: 25
   Journals where Gregory Connor has often published
   Relations with other researchers
   Recent citing documents: 130.    Total self citations: 14 (1.57 %)

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   Permalink: http://citec.repec.org/pco532
   Updated: 2020-08-01    RAS profile: 2019-06-12    
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Relations with other researchers


Works with:

Flavin, Thomas (4)

Korajczyk, Robert (3)

Authors registered in RePEc who have co-authored more than one work in the last five years with Gregory Connor.

Is cited by:

Swanson, Norman (23)

Bai, Jushan (21)

Hallin, Marc (17)

Pesaran, M (17)

LINTON, OLIVER (16)

Jagannathan, Ravi (15)

Forni, Mario (15)

Barigozzi, Matteo (14)

Ng, Serena (13)

Reichlin, Lucrezia (13)

Marcellino, Massimiliano (13)

Cites to:

Fama, Eugene (25)

French, Kenneth (23)

Korajczyk, Robert (20)

Campbell, John (19)

Reinhart, Carmen (18)

Engle, Robert (15)

LINTON, OLIVER (14)

Gorton, Gary (10)

Bollerslev, Tim (10)

Jagannathan, Ravi (9)

Shanken, Jay (9)

Main data


Where Gregory Connor has published?


Journals with more than one article published# docs
Journal of International Money and Finance2
Journal of Financial Economics2

Working Papers Series with more than one paper published# docs
Economics, Finance and Accounting Department Working Paper Series / Department of Economics, Finance and Accounting, National University of Ireland - Maynooth11
Research Program in Finance Working Papers / University of California at Berkeley7

Recent works citing Gregory Connor (2018 and 2017)


YearTitle of citing document
2018Models with Multiplicative Decomposition of Conditional Variances and Correlations. (2018). Teräsvirta, Timo ; Silvennoinen, Annastiina ; Amado, Cristina ; Terasvirta, Timo. In: CREATES Research Papers. RePEc:aah:create:2018-14.

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2018Sectoral Robustness of Asset Pricing Models: Evidence from the Indian Capital Market. (2018). Kumar, Sanjay ; Anwar, Mobin. In: Indian Journal of Commerce and Management Studies. RePEc:aii:ijcmss:v:09:y:2018:i:2:p:42-50.

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2017Russian-Doll Risk Models. (2017). Kakushadze, Zura. In: Papers. RePEc:arx:papers:1412.4342.

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2017Statistical Risk Models. (2017). Kakushadze, Zura ; Yu, Willie. In: Papers. RePEc:arx:papers:1602.08070.

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2018Augmented Factor Models with Applications to Validating Market Risk Factors and Forecasting Bond Risk Premia. (2018). Liao, Yuan ; Fan, Jianqing ; Ke, Yuan. In: Papers. RePEc:arx:papers:1603.07041.

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2018Statistical Industry Classification. (2018). Kakushadze, Zura ; Yu, Willie. In: Papers. RePEc:arx:papers:1607.04883.

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2017Random matrix approach to estimation of high-dimensional factor models. (2017). Yeo, Joongyeub ; Papanicolaou, George . In: Papers. RePEc:arx:papers:1611.05571.

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2017A diagnostic criterion for approximate factor structure. (2017). Scaillet, Olivier ; Gagliardini, Patrick ; Ossola, Elisa . In: Papers. RePEc:arx:papers:1612.04990.

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2017*K-means and Cluster Models for Cancer Signatures. (2017). Yu, Willie ; Kakushadze, Zura. In: Papers. RePEc:arx:papers:1703.00703.

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2017Principal Components and Regularized Estimation of Factor Models. (2017). Ng, Serena ; Bai, Jushan. In: Papers. RePEc:arx:papers:1708.08137.

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2018Uniform Inference for Characteristic Effects of Large Continuous-Time Linear Models. (2018). Yang, Xiye ; Liao, Yuan. In: Papers. RePEc:arx:papers:1711.04392.

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2018A cluster driven log-volatility factor model: a deepening on the source of the volatility clustering. (2018). di Matteo, Tiziana ; Buonocore, Riccardo Junior ; Verma, Anshul. In: Papers. RePEc:arx:papers:1712.02138.

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2018Betas, Benchmarks and Beating the Market. (2018). Yu, Willie ; Kakushadze, Zura. In: Papers. RePEc:arx:papers:1807.09919.

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2019Generalized Dynamic Factor Models and Volatilities: Consistency, rates, and prediction intervals. (2019). Hallin, Marc ; Barigozzi, Matteo. In: Papers. RePEc:arx:papers:1811.10045.

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2019Estimation of high-dimensional factor models and its application in power data analysis. (2019). Mi, Tiebin ; Qiu, Robert ; Shi, Xin. In: Papers. RePEc:arx:papers:1905.02061.

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2019Large Volatility Matrix Prediction with High-Frequency Data. (2019). Song, Xinyu. In: Papers. RePEc:arx:papers:1907.01196.

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2019Estimating a Large Covariance Matrix in Time-varying Factor Models. (2019). Jung, Jaeheon. In: Papers. RePEc:arx:papers:1910.11965.

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2019High Dimensional Latent Panel Quantile Regression with an Application to Asset Pricing. (2019). Chen, Mingli ; Madrid, Oscar Hernan ; Belloni, Alexandre. In: Papers. RePEc:arx:papers:1912.02151.

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2020Refined model of the covariance/correlation matrix between securities. (2020). Valeyre, Sebastien. In: Papers. RePEc:arx:papers:2001.08911.

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2018The 2008 crisis: transpacific or transatlantic?. (2018). McCauley, Robert. In: BIS Quarterly Review. RePEc:bis:bisqtr:1812f.

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2018FACTOR MODELS AND TIME†VARYING PARAMETER FRAMEWORK FOR FORECASTING EXCHANGE RATES AND INFLATION: A SURVEY. (2018). Mokhtari, Manouchehr ; Kavtaradze, Lasha. In: Journal of Economic Surveys. RePEc:bla:jecsur:v:32:y:2018:i:2:p:302-334.

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2017Factor Modelling for High-Dimensional Time Series: Inference and Model Selection. (2017). Rao, Tata Subba ; Yau, Chun Yip ; Lu, YE ; Chan, Ngai Hang ; Wilson, Granville Tunnicliffe. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:38:y:2017:i:2:p:285-307.

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2018High Dimensional Semiparametric Moment Restriction Models. (2018). LINTON, OLIVER ; GAO, Jiti ; Dong, C. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:1881.

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2019Efficient Estimation of Nonparametric Regression in The Presence of Dynamic Heteroskedasticity. (2019). LINTON, OLIVER ; Xiao, Z. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:1907.

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2019Nonparametric Recovery of the Yield Curve Evolution from Cross-Section and Time Series Information. (2019). LINTON, OLIVER ; la Vecchia, D ; Koo, B. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:1916.

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2019Estimation and Inference in Semiparametric Quantile Factor Models. (2019). Gao, J ; Linton, O ; Ma, S. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:1933.

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2019Estimation and Inference in Semiparametric Quantile Factor Models. (2019). Linton, O ; Ma, S. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:1939.

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2020A Dynamic Network of Arbitrage Characteristics. (2020). Linton, O. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:2060.

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2020Nonparametric Euler Equation Identi?cation and Estimation. (2020). Hoderlein, S ; Escanciano, J C ; Srisuma, S ; Linton, O ; Lewbel, A. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:2064.

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2018Irish retail bank profitability 2003-20018. (2018). Nevin, Ciaran. In: Financial Stability Notes. RePEc:cbi:fsnote:10/18.

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2018Irish retail bank profitability 2003-20018. (2018). Nevin, Ciaran. In: Financial Stability Notes. RePEc:cbi:fsnote:10/fs/18.

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2017Dissecting Characteristics Nonparametrically. (2017). Weber, Michael ; Neuhierl, Andreas ; Freyberger, Joachim. In: CESifo Working Paper Series. RePEc:ces:ceswps:_6391.

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2020Measuring Systemic Risk: A Quantile Factor Analysis. (2020). Sagner, Andres. In: Working Papers Central Bank of Chile. RePEc:chb:bcchwp:874.

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2018Volatility, Diversification and Contagion. (2018). Sentana, Enrique. In: Working Papers. RePEc:cmf:wpaper:wp2018_1803.

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2018Volatility, diversification and contagion. (2018). Sentana, Enrique. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:12824.

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2018Estimating Latent Asset-Pricing Factors. (2018). Lettau, Martin ; Pelger, Markus. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:12926.

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2018Factors that Fit the Time Series and Cross-Section of Stock Returns. (2018). Lettau, Martin ; Pelger, Markus. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:13049.

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2017Quantile Factor Models. (2017). Gonzalo, Jesus ; Dolado, Juan ; Chen, Liang ; Muoz, Jesus Gonzalo. In: UC3M Working papers. Economics. RePEc:cte:werepe:25299.

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2017Accurate Subsampling Intervals of Principal Components Factors. (2017). Ruiz, Esther ; de Vicente, Javier . In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:23974.

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2018Estimation of the common component in Dynamic Factor Models. (2018). Navarro, Angela Caro ; Sanchez, Daniel Pea . In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:27047.

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2017Identification of Global and National Shocks in International Financial Markets via General Dynamic Factor Models. (2017). Soccorsi, Stefano ; Hallin, Marc ; Barigozzi, Matteo. In: Working Papers ECARES. RePEc:eca:wpaper:2013/248676.

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2018Generalized Dynamic Factor Models and Volatilities: Consistency, Rates, and Prediction Intervals. (2018). Hallin, Marc ; Barigozzi, Matteo. In: Working Papers ECARES. RePEc:eca:wpaper:2013/278905.

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2018Continuum directions for supervised dimension reduction. (2018). Jung, Sungkyu. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:125:y:2018:i:c:p:27-43.

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2018Factor-adjusted multiple testing of correlations. (2018). Du, Lilun ; Zhong, Pingshou ; Luo, Ronghua ; Lan, Wei. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:128:y:2018:i:c:p:34-47.

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2019A way forward: The future of Irish and European union financial regulation. (2019). Larkin, Charles ; Corbet, Shaen ; Barrett, Sean ; Ahuja, Rishi. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:64:y:2019:i:c:p:346-360.

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2019The double trap: Institutions and economic development. (2019). Kar, Sabyasachi ; Sen, Kunal ; Roy, Amrita . In: Economic Modelling. RePEc:eee:ecmode:v:76:y:2019:i:c:p:243-259.

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2019Oil price and Gulf Corporation Council stock indices: New evidence from time-varying copula models. (2019). Vosgha, Hamed ; Fenech, Jean-Pierre. In: Economic Modelling. RePEc:eee:ecmode:v:77:y:2019:i:c:p:81-91.

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2018A note on the asymptotic properties of least squares estimation in high dimensional constrained factor models. (2018). Xiang, Jingjie ; Cui, Guowei ; Li, Kunpeng. In: Economics Letters. RePEc:eee:ecolet:v:171:y:2018:i:c:p:144-148.

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2017Least squares estimation of large dimensional threshold factor models. (2017). Massacci, Daniele . In: Journal of Econometrics. RePEc:eee:econom:v:197:y:2017:i:1:p:101-129.

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2017Determining the number of factors when the number of factors can increase with sample size. (2017). Shi, Yutang ; Li, QI. In: Journal of Econometrics. RePEc:eee:econom:v:197:y:2017:i:1:p:76-86.

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2017Sufficient forecasting using factor models. (2017). Fan, Jianqing ; Yao, Jiawei ; Xue, Lingzhou. In: Journal of Econometrics. RePEc:eee:econom:v:201:y:2017:i:2:p:292-306.

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2017Generalized dynamic factor models and volatilities: estimation and forecasting. (2017). Hallin, Marc ; Barigozzi, Matteo. In: Journal of Econometrics. RePEc:eee:econom:v:201:y:2017:i:2:p:307-321.

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2017Using principal component analysis to estimate a high dimensional factor model with high-frequency data. (2017). Ait-Sahalia, Yacine ; Xiu, Dacheng. In: Journal of Econometrics. RePEc:eee:econom:v:201:y:2017:i:2:p:384-399.

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2018Ex-post risk premia estimation and asset pricing tests using large cross sections: The regression-calibration approach. (2018). Kim, Soohun ; Skoulakis, Georgios . In: Journal of Econometrics. RePEc:eee:econom:v:204:y:2018:i:2:p:159-188.

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2018Estimating stable latent factor models by indirect inference. (2018). Halbleib, Roxana ; Calzolari, Giorgio. In: Journal of Econometrics. RePEc:eee:econom:v:205:y:2018:i:1:p:280-301.

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2018Quasi maximum likelihood analysis of high dimensional constrained factor models. (2018). Lu, Lina ; Li, QI. In: Journal of Econometrics. RePEc:eee:econom:v:206:y:2018:i:2:p:574-612.

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2019Knowing factors or factor loadings, or neither? Evaluating estimators of large covariance matrices with noisy and asynchronous data. (2019). Dai, Chaoxing ; Xiu, Dacheng ; Lu, Kun. In: Journal of Econometrics. RePEc:eee:econom:v:208:y:2019:i:1:p:43-79.

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2019Factor GARCH-Itô models for high-frequency data with application to large volatility matrix prediction. (2019). Fan, Jianqing ; Kim, Donggyu. In: Journal of Econometrics. RePEc:eee:econom:v:208:y:2019:i:2:p:395-417.

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2019A rank test for the number of factors with high-frequency data. (2019). Liu, Zhi ; Kong, Xin-Bing ; Zhou, Wang. In: Journal of Econometrics. RePEc:eee:econom:v:211:y:2019:i:2:p:439-460.

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2019High-dimensional multivariate realized volatility estimation. (2019). Bollerslev, Tim ; Meddahi, Nour ; Nyawa, Serge. In: Journal of Econometrics. RePEc:eee:econom:v:212:y:2019:i:1:p:116-136.

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2019Rank regularized estimation of approximate factor models. (2019). Bai, Jushan ; Ng, Serena. In: Journal of Econometrics. RePEc:eee:econom:v:212:y:2019:i:1:p:78-96.

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2019A diagnostic criterion for approximate factor structure. (2019). Scaillet, Olivier ; Ossola, Elisa ; Gagliardini, Patrick. In: Journal of Econometrics. RePEc:eee:econom:v:212:y:2019:i:2:p:503-521.

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2020Generalized dynamic factor models and volatilities: Consistency, rates, and prediction intervals. (2020). Hallin, Marc ; Barigozzi, Matteo. In: Journal of Econometrics. RePEc:eee:econom:v:216:y:2020:i:1:p:4-34.

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2019Estimating MIDAS regressions via OLS with polynomial parameter profiling. (2019). Ghysels, Eric ; Qian, Hang. In: Econometrics and Statistics. RePEc:eee:ecosta:v:9:y:2019:i:c:p:1-16.

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2019The impact of model risk on dynamic portfolio selection under multi-period mean-standard-deviation criterion. (2019). Penev, Spiridon ; Wu, Wei ; Shevchenko, Pavel V. In: European Journal of Operational Research. RePEc:eee:ejores:v:273:y:2019:i:2:p:772-784.

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2019Hierarchical GARCH. (2019). Brownlees, Christian. In: Journal of Empirical Finance. RePEc:eee:empfin:v:51:y:2019:i:c:p:17-27.

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2017Influence of storm surge on tidal range energy. (2017). Lewis, M J ; Neill, S P ; Evans, P S ; Robins, P E ; Angeloudis, A. In: Energy. RePEc:eee:energy:v:122:y:2017:i:c:p:25-36.

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2017A new weighting-scheme for equity indexes. (2017). Chevallier, Julien ; Aboura, Sofiane. In: International Review of Financial Analysis. RePEc:eee:finana:v:54:y:2017:i:c:p:159-175.

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2019Currency carry trades and the conditional factor model. (2019). Sakemoto, Ryuta. In: International Review of Financial Analysis. RePEc:eee:finana:v:63:y:2019:i:c:p:198-208.

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2018Mining big data using parsimonious factor, machine learning, variable selection and shrinkage methods. (2018). Kim, Hyun Hak ; Swanson, Norman R. In: International Journal of Forecasting. RePEc:eee:intfor:v:34:y:2018:i:2:p:339-354.

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2020Are banking shocks contagious? Evidence from the eurozone. (2020). Lagoa-Varela, Dolores ; Flavin, Thomas J ; Dungey, Mardi. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:112:y:2020:i:c:s0378426618301572.

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2018Economic activity and momentum profits: Further evidence. (2018). Maio, Paulo ; Philip, Dennis. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:88:y:2018:i:c:p:466-482.

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2018Asset pledgeability and endogenously leveraged bubbles. (2018). Bengui, Julien ; Phan, Toan. In: Journal of Economic Theory. RePEc:eee:jetheo:v:177:y:2018:i:c:p:280-314.

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2019Characteristics are covariances: A unified model of risk and return. (2019). Su, Yinan ; Pruitt, Seth ; Kelly, Bryan T. In: Journal of Financial Economics. RePEc:eee:jfinec:v:134:y:2019:i:3:p:501-524.

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2020Is the active fund management industry concentrated enough?. (2020). Xu, Jingrui ; Saxena, Konark ; Feldman, David. In: Journal of Financial Economics. RePEc:eee:jfinec:v:136:y:2020:i:1:p:23-43.

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2017European equity market integration and joint relationship of conditional volatility and correlations. (2017). Virk, Nader ; Javed, Farrukh . In: Journal of International Money and Finance. RePEc:eee:jimfin:v:71:y:2017:i:c:p:53-77.

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2017Level and volatility factors in macroeconomic data. (2017). Ng, Serena ; Gorodnichenko, Yuriy. In: Journal of Monetary Economics. RePEc:eee:moneco:v:91:y:2017:i:c:p:52-68.

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2018Measuring systemic risk of the banking industry in China: A DCC-MIDAS-t approach. (2018). Xu, Qifa ; Yuan, Jing ; Jiang, Cuixia ; Chen, LU. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:51:y:2018:i:c:p:13-31.

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2017Assessing the influence of sea level rise on tidal power output and tidal energy dissipation near a channel. (2017). Chen, Wei-Bo ; Liu, Wen-Cheng . In: Renewable Energy. RePEc:eee:renene:v:101:y:2017:i:c:p:603-616.

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2017Close-proximity tidal phasing for ‘firm’ electricity supply. (2017). Commin, Andrew N ; Gibb, Stuart W ; McClatchey, John . In: Renewable Energy. RePEc:eee:renene:v:102:y:2017:i:pb:p:380-389.

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2017Experimental study on scour profile of pile-supported horizontal axis tidal current turbine. (2017). Chen, Long ; Motamedi, Shervin ; Othman, Faridah ; Hashim, Roslan. In: Renewable Energy. RePEc:eee:renene:v:114:y:2017:i:pb:p:744-754.

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2020Flow structures in wake of a pile-supported horizontal axis tidal stream turbine. (2020). Zhang, Jisheng ; Guo, Yakun ; Wang, Risheng ; Lin, Xiangfeng. In: Renewable Energy. RePEc:eee:renene:v:147:y:2020:i:p1:p:2321-2334.

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2017Techno-economic challenges of tidal energy conversion systems: Current status and trends. (2017). Segura, E ; Lopez, A ; Somolinos, J A ; Morales, R. In: Renewable and Sustainable Energy Reviews. RePEc:eee:rensus:v:77:y:2017:i:c:p:536-550.

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2017Bond market integration in East Asia: Multivariate GARCH with dynamic conditional correlations approach. (2017). Tsukuda, Yoshihiko ; Miyakoshi, Tatsuyoshi ; Shimada, Junji. In: International Review of Economics & Finance. RePEc:eee:reveco:v:51:y:2017:i:c:p:193-213.

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2020Information-driven stock return comovements across countries. (2020). Inaba, Kei-Ichiro. In: Research in International Business and Finance. RePEc:eee:riibaf:v:51:y:2020:i:c:s0275531918309450.

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2017Generalized dynamic factor models and volatilities estimation and forecasting. (2017). Barigozzi, Matteo ; Hallin, Marc. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:67455.

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2020Repayment capacity, debt service ratios and mortgage default: An exploration in crisis and non-crisis periods. (2020). Slaymaker, Rachel ; O'Toole, Conor. In: Papers. RePEc:esr:wpaper:wp652.

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2018Quasi Maximum Likelihood Analysis of High Dimensional Constrained Factor Models. (2018). Lu, Lina ; Li, QI. In: Supervisory Research and Analysis Working Papers. RePEc:fip:fedbqu:rpa18-2.

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2017Housing and Financial Stability : a speech at the DNB-Riksbank Macroprudential Conference Series, Amsterdam, Netherlands, June 20, 2017.. (2017). Fischer, Stanley. In: Speech. RePEc:fip:fedgsq:956.

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2018Asset Pledgeability and Endogenously Leveraged Bubbles. (2018). Phan, Toan ; Bengui, Julien. In: Working Paper. RePEc:fip:fedrwp:18-11.

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2019Macroeconomic Forecasting with Factor-Augmented Adjusted Band Regression. (2019). Reschenhofer, Erhard ; Chud, Marek. In: Econometrics. RePEc:gam:jecnmx:v:7:y:2019:i:4:p:46-:d:293899.

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2020Life Cycle Assessment of Electricity Generation from an Array of Subsea Tidal Kite Prototypes. (2020). Molander, Sverker ; Tivander, Johan ; Kaddoura, Mohamad. In: Energies. RePEc:gam:jeners:v:13:y:2020:i:2:p:456-:d:309936.

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2019Dynamic Factor Models. (2019). Fuleky, Peter ; Doz, Catherine . In: Working Papers. RePEc:hae:wpaper:2019-4.

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2019Dynamic Factor Models. (2019). Fuleky, Peter ; Doz, Catherine . In: PSE Working Papers. RePEc:hal:psewpa:halshs-02262202.

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2019Dynamic Factor Models. (2019). Fuleky, Peter ; Doz, Catherine. In: Working Papers. RePEc:hal:wpaper:halshs-02262202.

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2017Dynamic Semiparametric Factor Model with a Common Break. (2017). Wu, Wei Biao ; Wang, Weining ; Chen, Likai. In: SFB 649 Discussion Papers. RePEc:hum:wpaper:sfb649dp2017-026.

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2018Estimation in semiparametric quantile factor models. (2018). LINTON, OLIVER ; GAO, Jiti ; Ma, Shujie. In: CeMMAP working papers. RePEc:ifs:cemmap:07/18.

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2018High dimensional semiparametric moment restriction models. (2018). LINTON, OLIVER ; GAO, Jiti ; Dong, Chaohua. In: CeMMAP working papers. RePEc:ifs:cemmap:69/18.

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2020The Integration of Countries Sovereign Bond Markets: An Empirical Illustration of a Global Financial Cycle. (2020). Inaba, Kei-Ichiro. In: IMES Discussion Paper Series. RePEc:ime:imedps:20-e-01.

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2018Regulatory Cycles: Revisiting the Political Economy of Financial Crises. (2018). Dagher, Jihad. In: IMF Working Papers. RePEc:imf:imfwpa:18/8.

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2018Fama-French Çok Faktör Varlık Fiyatlama Modellerinin Performanslarının Karşılaştırılması: Borsa İstanbul Üzerine Bir Uygulama. (2018). Keskn, Serkan ; Zavalsiz, Bilal ; Am, Lhan ; Aras, Guler. In: Istanbul Business Research. RePEc:ist:ibsibr:v:47:y:2018:i:2:p:183-207.

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Works by Gregory Connor:


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1993 A Test for the Number of Factors in an Approximate Factor Model. In: Journal of Finance.
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2007Semiparametric estimation of a characteristic-based factor model of common stock returns.(2007) In: Journal of Empirical Finance.
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2007Efficient Estimation of a SemiparametricCharacteristic-Based Factor Model of Security Returns In: STICERD - Econometrics Paper Series.
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2007Efficient Estimation of a Semiparametric Characteristic- Based Factor Model of Security Returns.(2007) In: Swiss Finance Institute Research Paper Series.
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2007Efficient estimation of a semiparametric characteristic-based factor model of security returns.(2007) In: LSE Research Online Documents on Economics.
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2007Efficient estimation of a semiparametric characteristic-based factor model of security returns.(2007) In: LSE Research Online Documents on Economics.
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2007Efficient Estimation of a Semiparametric Characteristic-Based Factor Model of Security Returns.(2007) In: FMG Discussion Papers.
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2015A Synthesis of Two Factor Estimation Methods In: Journal of Financial and Quantitative Analysis.
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2012Efficient Semiparametric Estimation of the Fama–French Model and Extensions In: Econometrica.
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2006The common and specific components of dynamic volatility In: Journal of Econometrics.
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1984A unified beta pricing theory In: Journal of Economic Theory.
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1986Performance measurement with the arbitrage pricing theory : A new framework for analysis In: Journal of Financial Economics.
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1988Risk and return in an equilibrium APT : Application of a new test methodology In: Journal of Financial Economics.
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2015Strategic, unaffordability and dual-trigger default in the Irish mortgage market In: Journal of Housing Economics.
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2012The U.S. and Irish credit crises: Their distinctive differences and common features In: Journal of International Money and Finance.
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2010The U.S. and Irish Credit Crises: Their Distinctive Differences and Common Features.(2010) In: Economics, Finance and Accounting Department Working Paper Series.
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2013Dynamic stock market covariances in the Eurozone In: Journal of International Money and Finance.
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2012Dynamic Stock Market Covariances in the Eurozone.(2012) In: Economics, Finance and Accounting Department Working Paper Series.
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2006Regulating the output characteristics of tidal current power stations to facilitate better base load matching over the lunar cycle In: Renewable Energy.
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2004An Introduction to hedge funds In: LSE Research Online Documents on Economics.
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2001Tests of the Fama and French model in India In: LSE Research Online Documents on Economics.
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2000Semiparametric Estimation of a Characteristic-Based Factor Model of Stock Returns In: FMG Discussion Papers.
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2001A Structured GARCH Model of Daily Equity Return Volatility In: FMG Discussion Papers.
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2001Tests of the Fama Model in India In: FMG Discussion Papers.
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2004(IAM Series No 002) An Intro to Hedge Funds In: FMG Discussion Papers.
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2012A Coasean Approach to Bank Resolution Policy in the Eurozone In: FMG Special Papers.
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2012A Coasean Approach to Bank Resolution Policy in the Eurozone.(2012) In: Economics, Finance and Accounting Department Working Paper Series.
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2009Market Dispersion and the Profitability of Hedge Funds In: Economics, Finance and Accounting Department Working Paper Series.
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2009The Risky Lending Gap In: Economics, Finance and Accounting Department Working Paper Series.
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2010Sliding Doors Cost Measurement.A Restrictive Approach to Analyzing the Net Economic Cost of Policy Decisions and an Application to Irish Financial Regulation In: Economics, Finance and Accounting Department Working Paper Series.
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2013Irish Mortgage Default Optionality In: Economics, Finance and Accounting Department Working Paper Series.
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2014Unpublished Appendix:Ancillary Results and Robustness Checks on a Probit Model of Irish Mortgage Defaults In: Economics, Finance and Accounting Department Working Paper Series.
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2014A Performance Comparison of Large-n Factor Estimators In: Economics, Finance and Accounting Department Working Paper Series.
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2018A Performance Comparison of Large-n Factor Estimators.(2018) In: Review of Asset Pricing Studies.
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2015Restructuring and Recovery of the Irish Financial Sector: An Economic Case History V2 In: Economics, Finance and Accounting Department Working Paper Series.
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2016-Adjusted p-values for genome-wide regression analysis with non-normally distributed quantitative phenotypes In: Economics, Finance and Accounting Department Working Paper Series.
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1987Estimating Pervasive Economic Factors with Missing Observations. In: Research Program in Finance Working Papers.
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1987Risk and Return in an Equilibrium APT. In: Research Program in Finance Working Papers.
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1987New Cross-Sectional Regression Tests of Beta Pricing Models. In: Research Program in Finance Working Papers.
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1987An Intertemporal Equilibrium Beta Pricing Model. In: Research Program in Finance Working Papers.
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1988The Attributes, Behavior and Performance of U.S. Mutual Funds. In: Research Program in Finance Working Papers.
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1990The Relationship Between Non- Arbitrage and Recursive Competitive Equilibrium Pricing. In: Research Program in Finance Working Papers.
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1995Optimal Cash Management for Investment Funds. In: Research Program in Finance Working Papers.
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